* Generate column matrix from gHistIndex.
* Avoid synchronization with the sparse page once the cache is written.
* Cleanups: Remove member variables/functions, change the update routine to look like approx and gpu_hist.
* Remove pruner.
* Implement `MaxCategory` in quantile.
* Implement partition-based split for GPU evaluation. Currently, it's based on the existing evaluation function.
* Extract an evaluator from GPU Hist to store the needed states.
* Added some CUDA stream/event utilities.
* Update document with references.
* Fixed a bug in approx evaluator where the number of data points is less than the number of categories.
* Replace all uses of deprecated function sklearn.datasets.load_boston
* More renaming
* Fix bad name
* Update assertion
* Fix n boosted rounds.
* Avoid over regularization.
* Rebase.
* Avoid over regularization.
* Whac-a-mole
Co-authored-by: fis <jm.yuan@outlook.com>
This PR rewrites the approx tree method to use codebase from hist for better performance and code sharing.
The rewrite has many benefits:
- Support for both `max_leaves` and `max_depth`.
- Support for `grow_policy`.
- Support for mono constraint.
- Support for feature weights.
- Support for easier bin configuration (`max_bin`).
- Support for categorical data.
- Faster performance for most of the datasets. (many times faster)
- Support for prediction cache.
- Significantly better performance for external memory.
- Unites the code base between approx and hist.
* Add num target model parameter, which is configured from input labels.
* Change elementwise metric and indexing for weights.
* Add demo.
* Add tests.
A new parameter `custom_metric` is added to `train` and `cv` to distinguish the behaviour from the old `feval`. And `feval` is deprecated. The new `custom_metric` receives transformed prediction when the built-in objective is used. This enables XGBoost to use cost functions from other libraries like scikit-learn directly without going through the definition of the link function.
`eval_metric` and `early_stopping_rounds` in sklearn interface are moved from `fit` to `__init__` and is now saved as part of the scikit-learn model. The old ones in `fit` function are now deprecated. The new `eval_metric` in `__init__` has the same new behaviour as `custom_metric`.
Added more detailed documents for the behaviour of custom objective and metric.
* Support more input types for categorical data.
* Shorten the type name from "categorical" to "c".
* Tests for np/cp array and scipy csr/csc/coo.
* Specify the type for feature info.
* Add feature score support for linear model.
* Port R interface to the new implementation.
* Add linear model support in Python.
Co-authored-by: Philip Hyunsu Cho <chohyu01@cs.washington.edu>
* Change DefaultEvalMetric of classification from error to logloss
* Change default binary metric in plugin/example/custom_obj.cc
* Set old error metric in python tests
* Set old error metric in R tests
* Fix missed eval metrics and typos in R tests
* Fix setting eval_metric twice in R tests
* Add warning for empty eval_metric for classification
* Fix Dask tests
Co-authored-by: Hyunsu Cho <chohyu01@cs.washington.edu>
* Set output margin to True for custom objective in Python and R.
* Add a demo for writing multi-class custom objective function.
* Run tests on selected demos.
